Dear friends i am trying to fit an Ornstein-Uhlenbeck process by MAXIMUM LIKELYHOOD method.
i found these formulas on http://www.sitmo.com/article/calibrating-the-ornstein-uhlenbeck-model/ this is the mean-reverting process http://r.789695.n4.nabble.com/file/n4637271/process.txt process.txt and this is the script that i am using....... ouFit.ML=function(spread) { n=length(spread) delta=n/n Sx=sum(spread[1:n-1]) Sy=sum(spread[2:n]) Sxx=(Sx)^2 Syy=(Sy)^2 Sxy=Sx*Sy mu = (Sy*Sxx - Sx*Sxy) / ( n*(Sxx - Sxy) - (Sx^2 - Sx*Sy) ) lambda = -log( (Sxy - mu*Sx - mu*Sy + n*mu^2) / (Sxx -2*mu*Sx + n*mu^2) )/delta a = exp(-lambda*delta) sigmah2 = (Syy - 2*a*Sxy + a^2*Sxx - 2*mu*(1-a)*(Sy - a*Sx) + n*mu^2*(1-a)^2)/n; sigma = sqrt((sigmah2)*2*lambda/(1-a^2)) theta=list(lambda=lambda, mu=mu,sigma=sigma,sigmah2=sigmah2) return(theta) } where is my error? is there some other script to obtain a good result by the same method? thank you!!! :-) -- View this message in context: http://r.789695.n4.nabble.com/fitting-Ornstein-Uhlenbeck-process-by-MAXIMUM-LIKELYHOOD-tp4637271.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
